Backtest Report

Run ID: mean_reversion_20260112_034934
Symbol: MCL_FUT
Strategy: MeanReversionStrategy (MeanReversionStrategy)
Date Range: 2025-07-13 to 2026-01-08

Strategy Parameters

ema_period
20
ema_deviation_threshold
0.3%
rsi_period
14
rsi_levels
35.0/65.0
volume_spike_threshold
2.0x
targets_cents
5.0/10.0/15.0
target_pcts
50.0/30.0/20.0
stop_loss_cents
11.0
breakeven_trigger
4.0
trail_offset
3.0
max_hold_bars
20
session_hours
14-20 UTC
require_confirmation
False
volatility_filter
20.0-80.0%
require_conditions
1

Key Metrics

Total Return
$-7,613.18 (-152.26%)
Sharpe Ratio
-0.29
Max Drawdown
152.23%
Win Rate
52.4%
Profit Factor
0.47
Total Trades
1807
Avg Winner
$4.85
Avg Loser
$-11.29

Equity Curve & Drawdown

Trade P&L Distribution

Monthly Returns

Time Analysis

Best Hour
19:00
Worst Hour
14:00
Best Day
Tuesday
Worst Day
Friday

Recommendations